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~subject:"CAPM"
~subject:"Estimation"
~subject:"Market microstructure"
~type_genre:"Article in journal"
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Search: subject_exact:"Noise trading"
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CAPM
Estimation
Market microstructure
Noise trading
378
Noise Trading
375
Theorie
160
Theory
160
Volatility
141
Volatilität
141
Börsenkurs
129
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129
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108
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72
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68
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29
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29
Microstructure noise
27
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22
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19
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19
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156
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Li, Yingying
6
Liu, Zhi
4
Meddahi, Nour
4
Podolskij, Mark
4
Potiron, Yoann
4
Russell, Jeffrey R.
4
Andersen, Torben
3
Bandi, Federico M.
3
Bollerslev, Tim
3
Christensen, Kim
3
Clinet, Simon
3
Gençay, Ramazan
3
Gradojevic, Nikola
3
Hautsch, Nikolaus
3
Hounyo, Ulrich
3
Li, Z. Merrick
3
Mykland, Per A.
3
Zheng, Xinghua
3
Aït-Sahalia, Yacine
2
Buccheri, Giuseppe
2
Cartea, Álvaro
2
Christensen, Kimberly
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2
García, Philip
2
Gonçalves, Sílvia
2
Hizmeri, Rodrigo
2
Hu, Yingyi
2
Hwang, Eunju
2
Izzeldin, Marwan
2
Jacod, Jean
2
Jing, Bingyi
2
Karyampas, Dimitrios
2
Kunitomo, Naoto
2
Laeven, Roger J. A.
2
Li, Jia
2
Liu, Guangying
2
Lunde, Asger
2
Nolte, Ingmar
2
Oomen, Roel
2
Oomen, Roel C. A.
2
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Journal of econometrics
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of banking & finance
6
Finance research letters
5
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5
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4
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4
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4
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4
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3
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3
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3
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3
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3
The review of economic studies
3
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2
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Finance and stochastics
2
International journal of theoretical and applied finance
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2
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2
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2
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American journal of agricultural economics
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1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Eurasian business review
1
European journal of operational research : EJOR
1
Frontiers of economics in China : selected publications from Chinese universities
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ECONIS (ZBW)
156
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156
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1
Differences between NZ and U.S. individual investor sentiment : more noise or more information?
Białkowski, Je̜drzej
;
Wagner, Moritz
;
Wei, Xiaopeng
- In:
New Zealand economic papers
58
(
2024
)
1
,
pp. 74-86
Persistent link: https://www.econbiz.de/10014511890
Saved in:
2
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
3
Chasing noise in the stock market : an inquiry into the dynamics of investor sentiment and asset pricing
Sakariyahu, Rilwan
;
Paterson, Audrey
;
Chatzivgeri, Eleni
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014502966
Saved in:
4
Trading volume, anomaly returns and noise trader risk in China
Han, Chunmao
;
Zhang, Wei
- In:
Pacific-Basin finance journal
84
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014534538
Saved in:
5
Antinoise in U.S. equity markets
Cheng, Enoch
;
Struck, Clemens C.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2069-2087
Persistent link: https://www.econbiz.de/10012696815
Saved in:
6
Measuring the jump risk contribution under market microstructure noise : evidence from Chinese stock market
Yu, Chao
;
Zhao, Xujie
- In:
Romanian journal of economic forecasting
24
(
2021
)
1
,
pp. 32-47
Persistent link: https://www.econbiz.de/10012587109
Saved in:
7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
8
Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
Saved in:
9
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
10
Alternative risk premium : specification noise
Gorman, Stephen A.
;
Fabozzi, Frank J.
- In:
The journal of asset management : a major new, …
24
(
2023
)
6
,
pp. 459-473
Persistent link: https://www.econbiz.de/10014419524
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